Technical Note—An Equivalence Between Continuous and Discrete Time Markov Decision Processes | Zendy

Richard F. Serfozo | Zendy

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Technical Note—An Equivalence Between Continuous and Discrete Time Markov Decision Processes

Author(s) -

Richard F. Serfozo

Publication year - 1979

Publication title -

operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 3.797

H-Index - 140

eISSN - 1526-5463

pISSN - 0030-364X

DOI - 10.1287/opre.27.3.616

Subject(s) - markov decision process , discrete time and continuous time , partially observable markov decision process , equivalence (formal languages) , markov process , bounded function , mathematics , markov chain , mathematical optimization , mathematical economics , markov model , markov kernel , markov renewal process , variable order markov model , discrete mathematics , statistics , mathematical analysis

A continuous time Markov decision process with uniformly bounded transition rates is shown to be equivalent to a simpler discrete time Markov decision process for both the discounted and average reward criteria on an infinite horizon. This result clarifies some earlier work in this area.

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